Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0012 |
| Annualized Std Dev | 0.1521 |
| Annualized Sharpe (Rf=0%) | -0.0078 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5489.0000 |
| NAs | 1.0000 |
| Minimum | -0.1664 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1423 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | -0.8281 |
| Kurtosis | 43.2974 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0070 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0070 |
| Downside Deviation (0%) | 0.0070 |
| Maximum Drawdown | 0.5370 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0227 |
| Modified VaR (95%) | -0.0095 |
| Modified ES (95%) | -0.0095 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-01-05 | 2008-12-12 | 2012-11-30 | -0.5370 | 1739 | 741 | 998 |
| 2016-07-11 | 2020-03-18 | NA | -0.3556 | 1183 | 929 | NA |
| 2013-01-07 | 2013-08-19 | 2016-06-15 | -0.2756 | 867 | 156 | 711 |
| 1999-06-04 | 1999-12-30 | 2001-11-14 | -0.2305 | 616 | 146 | 470 |
| 2003-06-16 | 2004-05-13 | 2005-07-11 | -0.1743 | 522 | 231 | 291 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | 0 | -0.4 | 0 | -0.4 | -0.4 | 0.5 | 0 | 1.1 | 0.3 |
| 2000 | 1.5 | 0 | 1.9 | -0.5 | 0 | 1.4 | 0.9 | -0.5 | 0 | 0.5 | 2 | 0.5 | 8 |
| 2001 | -2.2 | 0.9 | 0.7 | 0 | 1.3 | 0.4 | -0.3 | -0.4 | 1.7 | 0 | -1.3 | 0 | 0.7 |
| 2002 | 1.3 | -0.6 | 0.9 | 0.1 | 0.6 | 0 | 0.2 | -0.1 | 1.2 | 0.7 | 0.7 | 0.1 | 5.3 |
| 2003 | -0.1 | 0.2 | 0.3 | 0.5 | 0.9 | -0.1 | -0.6 | 0.7 | 0.3 | 0.3 | -0.5 | 0.2 | 2.1 |
| 2004 | -0.5 | 0.1 | 0.1 | 1.3 | -0.4 | 0.7 | 0.6 | 0.4 | -1 | 1 | -0.1 | 0.1 | 2.3 |
| 2005 | 0.4 | -0.2 | 0.6 | 0.5 | 0.9 | 1.2 | -0.8 | 0.1 | 0.4 | -0.2 | 1.8 | 0.7 | 5.6 |
| 2006 | 0.7 | 0.9 | 0.4 | 1.1 | 1.7 | 0.2 | 0.1 | -0.6 | 0.9 | 0.6 | 0.4 | 1.2 | 8 |
| 2007 | 0.2 | -0.4 | 0.5 | 0.5 | 0.3 | 0.1 | -0.2 | 0.6 | -0.4 | -0.1 | 0.3 | 0.8 | 2.1 |
| 2008 | 0.7 | -2.3 | 1.3 | 0.2 | 0.1 | 0.2 | 1 | 0.5 | 3.7 | -1.6 | -3.1 | 3 | 3.6 |
| 2009 | -0.8 | 0.4 | -0.4 | 1.3 | 0.1 | 0.5 | 1.4 | 1.5 | 0.2 | -2.2 | 0.6 | 0.3 | 2.8 |
| 2010 | 0.2 | 0.2 | -0.2 | 0.2 | 0.5 | -0.6 | 0.4 | -0.8 | 0.4 | 0.1 | -1.5 | 1.9 | 0.9 |
| 2011 | 0.6 | 0.2 | 0.7 | 0.7 | 0.1 | -0.6 | 1.1 | 1 | 0.5 | 0.4 | 0.2 | -0.1 | 5 |
| 2012 | 1.7 | -0.2 | -0.1 | 0.7 | -0.1 | 0.5 | 0.1 | -0.9 | -0.2 | 0.4 | 0.2 | 0.5 | 2.7 |
| 2013 | 0.6 | -0.4 | -0.5 | 0.4 | -2.5 | 0 | 0 | 0 | 0.1 | -0.7 | -0.5 | 0.9 | -2.7 |
| 2014 | 0.1 | 0.7 | -0.9 | 0.6 | -0.8 | -0.5 | 0.3 | 0 | 0.4 | 0.2 | 0.5 | 0.4 | 1 |
| 2015 | 0.4 | 1.5 | -0.1 | -0.3 | 0.7 | 1 | 0.6 | 0.8 | 0.5 | 0.1 | 0.3 | 0.8 | 6.4 |
| 2016 | -0.2 | 1 | 0.9 | 0.3 | 1.4 | 0.4 | 0 | 0.4 | 0.5 | 0.1 | -0.8 | 0.1 | 4.3 |
| 2017 | -0.2 | -0.3 | 0.4 | 0.1 | 0.5 | -0.5 | 0.4 | -0.1 | -0.2 | -0.3 | 0.1 | -0.3 | -0.4 |
| 2018 | -0.3 | -0.3 | -0.1 | -0.2 | -0.2 | 0.4 | -0.2 | 0.4 | -0.3 | 0 | 0.6 | 1.8 | 1.6 |
| 2019 | 0.5 | 0.3 | 0.3 | 0.7 | 0 | 0.1 | 0.4 | 0.6 | -0.3 | -0.5 | -0.3 | 0.1 | 1.8 |
| 2020 | 0.1 | -0.7 | -1.8 | 0.6 | -0.7 | -0.2 | 0.3 | 0.8 | 0 | 0.1 | -0.6 | 0.3 | -2 |
| 2021 | 0.4 | 0.3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-05-26 15.1 SPY 130. 0.0111 -0.0331 -0.0496 0.0514 NA NA NA <NA> NA NA NA
2 1999-05-27 15.1 SPY 129. -0.0144 -0.0412 -0.0503 0.0405 NA NA NA <NA> NA NA NA
3 1999-05-28 15.2 SPY 130. 0.0128 -0.0236 -0.0308 0.0508 NA NA NA <NA> NA NA NA
4 1999-06-01 15.2 SPY 130. -0.0035 -0.0105 -0.0263 0.0565 NA NA NA <NA> NA NA NA
5 1999-06-02 15.1 SPY 130. 0.001 0.0068 -0.0428 0.0519 NA NA NA <NA> NA NA NA
6 1999-06-03 15.2 SPY 131. 0.0055 0.00120 -0.0236 0.0445 NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
